CAJ | 학술논문

本文拟从我国银行业整体层面对货币政策和银行风险承担行为之间的关系进行研究，基于月度银行业全行业的资产负债表，构建了银行在资产及负债选择上风险承担指标。研究发现，我国宽松货币政策对银行风险承担的鼓励体现在银行的资产选择行为上，而不在银行的负债选择行为上。为了将风险承担渠道与货币政策的资产负债表渠道区分开，我们进一步用银行贷款审批条件指数进行了验证，发现贷款标准随货币政策放松而降低，表明风险承担渠道独立于传统的资产负债表渠道而存在。本文最后建立了VEC模型，分析了风险承担渠道对实体经济的影响能力，结果表明我国银行风险承担行为对实体经济的直接影响不容忽视。
본문의종아국은행업정체층면대화폐정책화은행풍험승담행위지간적관계진행연구，기우월도은행업전행업적자산부채표，구건료은행재자산급부채선택상풍험승담지표。연구발현，아국관송화폐정책대은행풍험승담적고려체현재은행적자산선택행위상，이불재은행적부채선택행위상。위료장풍험승담거도여화폐정책적자산부채표거도구분개，아문진일보용은행대관심비조건지수진행료험증，발현대관표준수화폐정책방송이강저，표명풍험승담거도독립우전통적자산부채표거도이존재。본문최후건립료VEC모형，분석료풍험승담거도대실체경제적영향능력，결과표명아국은행풍험승담행위대실체경제적직접영향불용홀시。
This paper examines the effect of monetary policy on bank risk taking from China＇s banking industry perspective. Based on monthly industry -wide banking sector＇s balance sheet, the paper constructs bank asset side risk taking and liability side risk taking indicators. We find that in China bank risk taking encouraged by loose monetary policy reflects in the bank asset side risk taking rather than in bank liability side. In order to separate the risk - taking channel from the balance sheet channel of monetary policy, we further conduct an em- pirical test using the bank loan approval conditions index, and find the lending standard is soften with the easing of monetary policy, which suggests the existence of risk - taking channel. At last, this paper established a VEC model to analyze the impact of the risk - taking channel on the real economy, and demonstrates that the direct impact of bank risk taking on the real economy can＇t be ignored.